Regulatory Alerts2022-07-11
Added · Updated
Completion Instructions for Return of Capital Adequacy Ratio Part IIId Risk-weighted Amount for Credit Risk Securitization Exposures
The Hong Kong Monetary Authority mandates that locally incorporated authorized institutions with securitization exposures in their banking book complete Form MA(BS)3(IIId) to report risk-weighted amounts and capital deductions. The form requires detailed reporting across six divisions covering various securitization approaches, including internal ratings-based, external ratings-based, standardized, and fall-back methods, while distinguishing between on-balance sheet and off-balance sheet exposures. Additionally, the instructions specify precise definitions and reporting arrangements for credit risk mitigation, tranched credit protection, and underlying exposures to ensure accurate calculation of capital requirements under the Banking (Capital) Rules.